David Lesmond
Associate Professor & Exxon Professor of Finance
Areas of Expertise
Biography
Professor David A. Lesmond’s work extends beyond the confines of the classroom to influence the professional community. His research focuses on providing the professional segment – the investment public, hedge funds, and mutual funds – with identifiable, profitable trading strategies.
Professor Lesmond’s award-winning work is presented across the world. It is tailored to provide a means by which academics can test profitability and to aid them in identifying areas of research that can lead to new avenues of thought.
Education
State University of New York at Buffalo
Articles
What Drives the Trend and Behavior in Aggregate (Idiosyncratic) Variance? Follow the Bid-Ask Bounce
2017
A number of competing explanations have been offered as a rationale for the trend in idiosyncratic variance that has been experienced over the past four decades. We establish a theoretical model linking a market microstructure bias with the industry-adjusted idiosyncratic variance (Campbell, Lettau, Malkiel, and Xu, 2001) or the risk-adjusted idiosyncratic variance.
Liquidity Biases and the Pricing of Cross-Sectional Idiosyncratic Volatility around the World
2016
This paper examines data from 45 world markets and shows that the previously documented relation between mean returns and idiosyncratic volatility arises because of biases in volatility estimates that we can attribute to the bid–ask bounce in trade prices.
Closed-End Funds
2015
Recent work suggests that investor sentiment drives the behavior of closed-end fund premiums. We develop a microstructure model that links the observed closed-end fund premiums to the interplay between the bid-ask spread of the fund with that of the fund's holdings.
Media Appearances
Jefferson Parish is spending $8 million for this building and there are no plans to use it
“East Jefferson Hospital is in dire financial straits right now,” said Tulane finance professor David Lesmond after reviewing the hospital’s financial outlook.
